Created
October 20, 2011 20:19
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Random Strategies
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#Setup | |
rm(list = ls(all = TRUE)) | |
set.seed(1) | |
nsims <- 1000 | |
library(quantmod) | |
library(PerformanceAnalytics) | |
#Load Data | |
getSymbols('^GSPC',from='1900-01-01') | |
spyReturns <- dailyReturn(GSPC$GSPC.Adjusted, type = "arithmetic") | |
#Make 1000 random position vectors | |
randomPositions <- sample(c(0,1),nsims*length(spyReturns),TRUE) | |
randomPositions <- matrix(randomPositions,ncol=nsims) | |
#Determine trades and calculate trade costs | |
trades <- apply(randomPositions,2,Lag,1) != randomPositions | |
trades[1,] <- trades[1,]==1 | |
trades <- ifelse(trades,0.001,0) #Assume the commision is 0.5% | |
#Determine dailty returns of random strats | |
randomStrats <- randomPositions*matrix(rep(spyReturns,nsims),ncol=nsims) | |
randomStrats <- randomStrats-trades | |
randomStrats.return <- apply(randomStrats,2,Return.annualized,scale=252) | |
hist(randomStrats.return, freq=FALSE) | |
#Plot some of the strategies | |
library(PerformanceAnalytics) | |
charts.PerformanceSummary(na.omit(cbind(spyReturns,randomStrats)[,1:15]),colorset=redfocus,) | |
#Same plot, removes buy&hold | |
#charts.PerformanceSummary(na.omit(cbind(spyReturns,randomStrats)[,2:15]),colorset=redfocus,) |
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